Mathematical Models of Financial Derivatives (Springer Finance) [Hardcover]

Yue-Kuen Kwok (Author)

Book Description

Publication Date: May 1, 1999 | ISBN-10: 9813083255 | ISBN-13: 978-9813083257 | Edition: 1

Financial Mathematics is one of the fastest growing research fields in applied mathematics. Leading edge banking and financial firms around the globe are hiring science experts who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks, a phenomena coined as "Rocket Sciences on Wall Street". As such, new degree programs in mathematical and computational finance have also sprouted both in North America and the Far East.To-date, there is a lack of texts stressing on the mathematical aspects of derivative pricing which can meet the demands from students enrolled in these new degree programs. Mathematical Models of Financial Derivatives fills a gap for textbooks to serve this increasing demand. It models derivative products based mainly on the differential equation approach, together with numerical solution techniques when appropriate. Research results and concepts are made accessible to the student through extensive, well thought out exercises at the end of each chapter.

Editorial Reviews

From Publishers Weekly

この第2版では、ほとんどのデリバティブ(派生証券)に共通している評価原則に焦点を当てている.株式市場や債券市場で一般に取引が行われている広範囲に渡る金融デリバティブ(派生商品)が分析されており、価格設定やヘッジング、および実際の運用面に重きが置かれている.伊藤の公式やGirsanovの定理に関する議論、そしてリスク中立測度や同値マルチンゲール測度による価格決定アプローチが強調されている点も特徴である.クレジット・リスク・モデルとクレジットデリバティブに関する新しい章が追加されている.そして、多くの有用な例題によって最新のリサーチ結果が提供されている.
Copyright© Reed Business Information, a division of Reed Elsevier Inc. All rights reserved. --This text refers to an alternate Hardcover edition.

Review

From the reviews of the second edition: "Mathematical Models of Financial Derivatives is a … comprehensive collection of known facts and techniques, as well as a methodologically thought-through textbook on derivative pricing in financial markets. The book is written both for a novice who will profit from its numerous and well-conceived exercises, and a practitioner who wants to brush up on finer points of the classical pricing theory behind a specific financial product. … it will certainly attract many a non-mathematician with an interest in quantitative methods in finance … ." (Gordan Žitkovic, The Mathematical Association of America, March, 2009) "This book is written mainly as a textbook of modeling on derivative pricing theory for the students in financial engineering, computational finance etc. It provides basic knowledge of mathematical theory and applications of the financial derivatives. … This book can also be used as an Instructor’s Manual of reference of those in financial institutions." (Gong Guanglu, Zentralblatt MATH, Vol. 1146, 2008) --This text refers to an alternate Hardcover edition.

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Product Details

• Hardcover: 386 pages
• Publisher: Springer; 1 edition (May 1, 1999)
• Language: English
• ISBN-10: 9813083255
• ISBN-13: 978-9813083257
• Product Dimensions: 9.6 x 6.4 x 1 inches
• Shipping Weight: 1.7 pounds
• Average Customer Review: 4.0 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #4,007,508 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

5 of 6 people found the following review helpful:

4.0 out of 5 stars The cherry of this book is its well-thought out exercises, November 26, 2000

By 

Choi Chi Hung (Hong Kong, UST) - See all my reviews

This review is from: Mathematical Models of Financial Derivatives (Springer Finance) (Hardcover)

This is a well-written textbook for beginners in financial derivatives. It is very comprehensive as it covers various financial products. The main attraction of this book is its exercises. Many problems come from past academic papers. I benefit a lot from doing those drills.

3 of 4 people found the following review helpful:

5.0 out of 5 stars MATHEMATICAL MODELS OF FINANCIAL DERIVATIVES, July 30, 2002

By 

"[e-mail]" - See all my reviews

This review is from: Mathematical Models of Financial Derivatives (Springer Finance) (Hardcover)

The goal of this book is to disseminate the knowledge of a very technical subject to a very wide range of audience, including finance professionals. The author did a respectable job in that regard. With some improvement in future revisions, this book seems to be one of the best introductionary texts on stochastic calculus.

3 of 4 people found the following review helpful:

5.0 out of 5 stars Lucid and detailed introduction, August 20, 2001

By A Customer

This review is from: Mathematical Models of Financial Derivatives (Springer Finance) (Paperback)

This is a really lucid and detailed introduction to derivative pricing theory from the pde way of doing things. The author is an applied mathematician, of the fluid mechanics variety, and this should tell you right away what the drift of the presentation is like.

Some will argue that all of Wilmott's books are along exactly the same line, so why do we need another pde book? Given the amazing number of textbooks dedicated to the martingale approach, it is great to have yet another, fresh way of looking at the pde approach.

The derivations come with all the necessary technical details, the style is very down to earth, and to my mind original. There are many details that I personally haven't seen in any other textbook before, and there are plenty of what seem like very useful exercises.

I really like this book, and it was a pleasant surprise to see it in a local library.